Blender Game Asset Creator Tutorial: 5.5 - Unwrapping The Cone
You receive this error because you don't have an active face (quad) selected.


Select one face from your mesh to make it an active face. It must be a quad (four vertices).
Select all faces by hitting A. You will notice the active face looks a bit different than other selected faces (it's lighter).
You can now unwrap with Follow Active Quads option.


This is how an active face looks like: